Guest blogging, forums, social media websites is ok. You will not be able to build a lot of each day and that shows Google you make links in natural way. But I think that blog commenting might look like spamming a bit. You can get manual penalty from Google. Especially remember about this now because the SEO world is waiting for Penguin 3.0 (it's an algorithm from Google) so it can totally destroy your back links. You can read more about Penguin before starting link building and wait for the
new update of it